Malliavin Calculus for Lévy Processes with Applications to Finance (Universitext) - Softcover

Di Nunno, Giulia

Softcover

ISBN 10: 354078571X ISBN 13: 9783540785712

Verlag: Springer Berlin Heidelberg, 2010

Inhaltsangabe

This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the theory and its use in new fields of application.

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Über die Autorin bzw. den Autor

Giulia Di Nunno, Bernt Øksendal and Frank Proske are professors at the Department of Mathematics, University of Oslo, Norway. The three scholars are active in the fields of stochastic analysis, mathematical and quantitative finance.

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While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated.

Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems.

To allow more flexibility in the treatment of the mathematical tools, the generalization of Malliavin calculus to the white noise framework is also discussed.

This book is a valuable resource for graduate students, lecturers in stochastic analysis and applied researchers.

Details zur Ausgabe

• Verlag: Springer Berlin Heidelberg
• Erscheinungsdatum: 2010
• Sprache: Englisch
• ISBN 10: 354078571X
• ISBN 13: 9783540785712
• Einband: Taschenbuch
• Anzahl der Seiten: 432
• Kontakt zum Hersteller: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3,69115 Heidelberg, Germany; Heidelberg; 69115; Deutschland